Sezione 1. Pubblicazioni all'USI di Giovanni Barone-Adesi
Lista delle pubblicazioni
Pubblicazioni principali
- Barone-Adesi G., Engle R., Mancini L. (2008). A GARCH Option Pricing Model with Filtered Historical Simulation. Review of Financial Studies, 21 (May 2008), pp.1223-1258.
- Barone-Adesi G., Fusari N., Theal J. (2008). Barrier Option Pricing Using Adjusted Transition Probabilities. Journal of Derivatives, Vol.16 (Winter 2008).
- Barone-Adesi G., Elliott R. (2006). Cutting the Hedge. Computational Economics (forthcoming).
- Barone-Adesi G. (2005). The Saga of the American Put. Journal of Banking and Finance.
Riviste scientifiche (con peer review)
- Barone-Adesi G., Engle R., Mancini L. (2008). A GARCH Option Pricing Model with Filtered Historical Simulation. Review of Financial Studies, 21 (May 2008), pp.1223-1258.
- Barone-Adesi G., Fusari N., Theal J. (2008). Barrier Option Pricing Using Adjusted Transition Probabilities. Journal of Derivatives, Vol.16 (Winter 2008).
- Sorwar G., Barone-Adesi G., Allegretto W. (2007). Valuation of Derivatives Based on Single Factor Interest Rate Models. The Global Finance Journal,Vol.18,N.2, pp.251-269.
- Audrino F., Barone-Adesi G. (2006). A Dynamic Model of Expected Bond Returns: a Functional Gradient Descent Approach. Computational Statistics and Data Analysis 51, No. 4, 2267-2277.
Link esterno - Audrino F., Barone-Adesi G. (2006). Average Conditional Correlation and Tree Structures for Multivariate GARCH Models. Journal of Forecasting 25, 579-600.
Link esterno - Barone-Adesi G., Elliott R. (2006). Cutting the Hedge. Computational Economics (forthcoming).
- Audrino F., Barone-Adesi G. (2005). A multivariate FGD technique to improve VaR computation in equity markets. Computational Management Science 2, Issue 2, 87-106 .
Link esterno - Audrino F., Barone-Adesi G. (2005). Functional Gradient Descent for financial time series with an application to the measurement of market risk. Journal of Banking and Finance 29, Issue 4, April 2005, 959-977 .
Link esterno - Barone-Adesi G. (2005). The Saga of the American Put. Journal of Banking and Finance.
- Audrino F., Barone-Adesi G., Mira A. (2005). The Stability of Factor Models of Interest Rates. Journal of Financial Econometrics 3, No. 3, 422-441.
Link esterno - Barone-Adesi G., Rasmussen H., Ravanelli C. (2004). An option pricing formula for the GARCH diffusion model. Computational Statistics and Data Analysis.
to appear
Link esterno - Barone-Adesi G. (2004). Hidden Dangeris. in Denaris.
- Barone-Adesi G., Gagliardini P., Urga G. (2004). Testing Asset Pricing Models with Coskewness. Journal of Business and Economic Statistics, 22, 474-485 .
- Barone-Adesi G., Giannopoulos K., Vosper L. (2002). "Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)". European Financial Management, pp. 31-58. March 2002.
- Barone-Adesi G., Sorwar G. (2002). "Interest Rate Barrier Options". in Computational Methods in Decision Making,Economics and Finance, E. Kontoghiorghes et al. editors, Kluwer Academic Publishing, pp. 313-322.
- Barone-Adesi G., Giannopoulos K. (2001). "Non-parametric VaR Techniques. Myths and Realities". Economic Notes by Banca Monte dei Paschi di Siena, 30, n. 2-2001, pp. 167-181..
- Barone-Adesi G., Gagliardini P., Trojani F. (2001). Short-Term Volatility Timing Reduces Downside Risk. International Journal of Finance, 13, Nr. 2, 1794-1825.
- Barone-Adesi G. (2000). "Does Volatility Pay?". The Journal of Risk Finance, 2. Fall 2000.
- Barone-Adesi G., Allegretto W., Dinenis E., Lin Y., Sorwar G. (1999). "A New Approach to Check the Free Boundary of Single Factor Interest Rate Put Options" . Finance 20, 2/1999.
- Barone-Adesi G., Giannopoulos K. (1999). "The Case for Non-Parametric Market Risk Measures". Risk Professional. December 1999.
- Barone-Adesi G., Giannopoulos K., Vosper L. (1999). "VaR without Correlations for Portfolios of Derivative Securities". Journal of Futures Markets. August 1999..
- Barone-Adesi G., Bourgoin F., Giannopoulos K. (1998). "Donīt Look Back" . Risk. August 1998..
- Barone-Adesi G., Barone E., Castagna G. (1998). "Pricing Bonds and Bond Options with Default Risk" . European Journal of Financial Management. July 1998.
- Barone-Adesi G., Giannopoulos K. (1996). "A Simplified Approach to the Estimation of Value at Risk" . Futures and Options World. October 1996.
Contributi a libri
- Barone-Adesi G."Stochastic Processes". Entry for the Blackwell Dictionary of Management.
- Barone-Adesi G., Gagliardini P., Urga G. (2006). A Test of the Homogeneity of Asset Pricing Models. in Multi-moment Asset Allocation and Pricing Models.
- Barone-Adesi G., Giannopoulos K. (2003). "Simulating Value at Risk: filtering historical simulation" , Metodi statistici per la finanza ed assicurazioni . Vita e Pensiero, Milan .
- Barone-Adesi G. (1995). "La Consulenza Finanziaria Alle Imprese" in Le Banche e l´efficienza Lasfida Possibile. Edibank, Milan.
- Barone-Adesi G. (1995). Industry Canada Research Volume Series. Commentary on Corporate Governance and Firm Performance, Vol. 5.
- Barone-Adesi G. (1993). "L´Innovazione Finanziaria: Rischi e Opportunita," I Derivati Finanziari. Edibank.
- Barone-Adesi G., Penati A. (1992). "Options to trade foreign currency at the most favorable rate" in Large Scale Economic and Finance Applications: New Tools and Methodologies. Franco Angeli.
- Barone-Adesi G., Hamaui R. (1992). "Titoli di Stato e Credibilita della Politica Economica", Il Mercato Dei Titoli di Stato in Italia. Il Mulino.
- Barone-Adesi G., Penati A. (1991). "Il mercato dei warrant: una prima valutazione", Il Rischio Azionario e la Borsa . Edizioni Giuridiche Economiche Aziendali.
- Barone-Adesi G., Tinic S. (1987). "Stock Returns Seasonality and the Tests of Asset Pricing Models: Canadian Evidence", in Stock Market Regularities . editor E. Dimson, Cambridge University Press.
Working papers
- Barone-Adesi G., Sorwar G., Allegretto W. (2006). Valuation of Derivatives Based on Single Factor Interest Rate Models. The Global Finance Journal.
- Barone-Adesi G., Engle R., Mancini L. (2004). GARCH Options in Incomplete Markets.
Link esterno